A GEL-based AIC for model selection

This paper proposes a model selection criterion for models defined by a set of moment conditions that are possibly nonsmooth and discontinuous. The model selection criterion is based on an asymptotically unbiased approximation of the Kullback–Leibler Information Criterion (KLIC), using the generalised empirical likelihood (GEL) criterion function as a semiparametric likelihood function.

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Year of publication:	2012
Authors:	Feng, Qiang
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 3, p. 637-639
Publisher:	Elsevier
Subject:	Model selection \| Information criterion \| Generalised empirical likelihood

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Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594072